Interval time series analysis with an application to the sterling-dollar exchange rate

DOI10.1007/s11424-008-9135-5zbMath1177.91113OpenAlexW2068708371MaRDI QIDQ732814

D. Kharzeev

Publication date: 15 October 2009

Published in: Journal of Systems Science and Complexity (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11424-008-9135-5

zbMATH Keywords

evaluation criteriainterval linear modelinterval stationarityinterval statisticsinterval stochastic processinterval-based estimation

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Economic time series analysis (91B84)

Related Items (13)

UNIFORM INFERENCE IN A GENERALIZED INTERVAL ARITHMETIC CENTER AND RANGE LINEAR MODEL ⋮ Modeling Interval Time Series with Space–Time Processes ⋮ A novel hybrid ARIMA and regression tree model for the interval-valued time series ⋮ Analysis of crisis impact on crude oil prices: a new approach with interval time series modelling ⋮ Brexit and its impact on the US stock market ⋮ A new approach to model financial markets ⋮ Tests for serial correlation in mean and variance of a sequence of time series objects ⋮ Different approaches to forecast interval time series: a comparison in finance ⋮ Linear dynamic fuzzy granule based long-term forecasting model of interval-valued time series ⋮ Far beyond the classical data models: symbolic data analysis ⋮ Interval-valued kriging for geostatistical mapping with imprecise inputs ⋮ Clustering of interval time series ⋮ Combining Interval Time Series Forecasts. A First Step in a Long Way (Research Agenda)

Uses Software

• Statool

Cites Work

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• An application of interval methods to stock market forecasting
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• Computing best-possible bounds for the distribution of a sum of several variables is NP-hard
• Global Optimization and Constraint Satisfaction

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